Trading costs aqr
Trading Costs May Be A Lot Less Than Previously Thought The authors describe the methodology for calculating trading costs in this paper. They reconstruct long-short anomaly portfolios following the techniques documented in the literature (e.g., SMB, HML, UMD, etc.) and apply trading costs to these portfolios based on their live trading data. trading costs of -short portfolios common to the literature. long Finally, i n addition to estimating these costs for NYSE and NASDAQ stocks, our data also covers 18 other developed equity markets internationally, providing the first look at the trading costs of similar strategies deployed in many different markets simultaneously. Abstract. Using nearly a trillion dollars of live trading data from a large institutional money manager across 19 developed equity markets over the period 1998 to 2011, we measure the real-world transactions costs and price impact function facing an arbitrageur and apply them to size, value, momentum, and short-term reversal strategies.